The right way:
1. Connect everything.
2. Pump the tank to pressurize.
3. Open the valve, allow a spoon full of fuel to fill the stove's little warming reservoir.
4. Turn the valve off! (This is where people screw up.)
5. Light the stove, watch it burn almost out, 30-60 seconds. This heats the metal parts so when you re-open the valve, what comes out is vaporized fuel.
6. Open the valve. If you wait until the flame is out, light it right away.
Excellent primer, Steve. The main trick with what gas stoves is to a) know what to do and b) get it down pat. White gas stoves are no big deal once you get the priming sequence down.
Now, interesting (but practical!) side note: Traditionally, alcohol was used to prime liquid fueled stoves. MSR used to even provide a small squeeze bottle with their old XGK stoves. Why alcohol? Well, it burns a lot cleaner for one (no soot all over) and two it is a lot easier to control the amount you are dispensing. Most of the big "fireball" flames I've seen with white gas stoves are due to over priming. Alcohol is much less volatile than white gas and much less prone to fire balling. Just something to try next time you're out with your lovely old school WG stove.

HJ